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Research Output 2000 2014

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Working paper
2013

A Quantile-based Realized Measure of Variation: New Tests for Outlying Observations in Financial Data

Bos, C. S. & Janus, P., 2013, Amsterdam: Tinbergen Institute, 39 p. (TI Discussion Paper; no. 13-155/III).

Research output: Working paperProfessional

2011

A Bayesian analysis of unobserved component models using ox

Bos, C. S., 2011, Amsterdam: Tinbergen Institute, 1 p. (TI Discussion Papers; no. 11-048/4).

Research output: Working paperProfessional

File

Relating stochastic volatility estimation methods

Bos, C. S., 2011, Amsterdam: Tinbergen Institute, 28 p. (TI Discussion Papers; no. 11-049/4).

Research output: Working paperProfessional

File
2010

Models with time-varying mean and variance: A robust analysis of US industrial production

Bos, C. S. & Koopman, S. J., 2010, Amsterdam: Tinbergen Instituut (TI), 22 p. (TI Discussion Papers Series; no. 10-017/4).

Research output: Working paperProfessional

File
2009

Does the Canadian economy suffer from Dutch disease?

Beine, M., Bos, C. S. & Coulombe, S., 2009, Amsterdam: Tinbergen Instituut (TI), 36 p. (TI Discussion Papers Series; no. TI 09-096/4).

Research output: Working paperProfessional

File

Spot variance path estimation and its application to high frequency jump testing

Bos, C. S., Janus, P. & Koopman, S. J., 2009, Amsterdam: Tinbergen Instituut (TI), 35 p. (TI Discussion Papers Series; no. 09-110/4).

Research output: Working paperProfessional

File
2008

Model-based Estimation of High Frequency Jump Diffusions with Microstructure Noise and Stochastic Volatility

Bos, C. S., 2008, Amsterdam: Tinbergen Instituut, (Discussion paper TI; no. 08-011/4).

Research output: Working paperProfessional

Open Access
File
Microstructure noise
Stochastic volatility
Exchange rates
Jump diffusion
Continuous time
2007

Dynamic Correlations and Optimal Hedge Ratios

Bos, C. S. & Gould, P. G., 2007, Amsterdam: Tinbergen Instituut (TI), (TI Discussion Paper; no. 07-025/4).

Research output: Working paperProfessional

File

Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks

Bos, C. S., Ooms, M. & Koopman, S. J., 2007, Amsterdam: Tinbergen Instituut (TI), 27 p. (TI discussion paper; no. 2007-099/4).

Research output: Working paperProfessional

File
2005

The impact of Central Bank FX interventions on currency components

Bos, C. S., Beine, M. & Laurent, S., 2005, Amsterdam: Tinbergen Instituut (TI), 32 p. (TI Discussion Paper; no. 05/103-4).

Research output: Working paperProfessional

File
2004

Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space form

Bos, C. S. & Shephard, N., 2004, Amsterdam: Tinbergen Instituut, (Discussion paper TI; no. 04-015/4).

Research output: Working paperProfessional

Open Access
File
Stochastic Volatility
Space Form
Time Series Models
State Space
MCMC Algorithm
2003

Adaptive radial-based direction sampling: Some flexible and robust Monte Carlo integration methods

Bos, C. S., Bauwens, L. J., van Dijk, H. K. & van Oest, R. D., 2003, Rotterdam: Econometrie (ECTRIE), 22 p. (Erasmus Universiteit Rotterdam; no. EI2003-32).

Research output: Working paperProfessional

Time Series Modelling using TSMod 3.24

Bos, C. S., 2003, Amsterdam: Tinbergen Instituut (TI), 10 p. (Tinbergen Discussion Papers; no. 03-091/4).

Research output: Working paperProfessional

File
2002

A Comparison of Marginal Likelihood Computation Methods

Bos, C. S., 2002, Amsterdam: Tinbergen Institute, 8 p. (TI Discussion Paper; no. TI02-084/4).

Research output: Working paperProfessional

File

Time series models with a common stochastic variance for analysing economic time series

Koopman, S. J. & Bos, C. S., 2002, Amsterdam: Tinbergen Institute, 34 p. (TI Discussion Paper; no. TI02-113/4).

Research output: Working paperProfessional

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